Why can't I add sky nodes to a lamp in Blender Cycles?
You cant add sky nodes to a lamp, you have to create a new World "material" and add nodes to it's setup, not the Sun lamp.

In the Properties Window go to the world tab (Fourth tab with a blue globe) and add a new one there if there isn't one already.

Then in the Node editor Window switch to World node type in bottom header, second button with the same blue globe icon.